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Thursday, October 26, 2006

Data News #2006 - 72
Reminder: NASDAQ to Complete Systems Integration for NASDAQ-Listed Issues on Monday, October 30, 2006

Please Route To:
  • Direct NASDAQ data feed recipients
  • Market data redistributors

Summary:
  • On Monday, October 30, 2006, NASDAQ will conclude systems integration for NASDAQ-listed securities.
  • NASDAQ will discontinue operation of its OrderView data feed once all NASDAQ-listed securities have been migrated.
  • On October 30th, NASDAQ will also modify the TotalView and NQDS pre-open processes to accommodate the new source system timing.

Background:
As announced in Head Trader Alert #2006-170, NASDAQ® will complete the first phase of systems integration (for all NASDAQ-listed securities) on Monday, October 30, 2006. Effective October 30th, NASDAQ will route all orders for NASDAQ-listed securities through NASDAQ’s integrated platform. From a market data perspective, firms will see full NASDAQ order book depth for NASDAQ-listed securities via the following data feeds:

Data Feed Name Depth description
TotalView® (Legacy)
  • Aggregated order depth (to the nearest round lot) for each price point in the integrated NASDAQ system
  • NASDAQ market participant attribution supported within price level messages
  • Net Order Imbalance data for the NASDAQ Opening, Closing and IPO Crosses
TotalView-AggregatedSM
  • Aggregated order depth (in actual shares) for each price point in the integrated NASDAQ system
  • NASDAQ market participant attribution supported within price level messages
  • Net Order Imbalance data for the NASDAQ Opening, Closing and IPO Crosses
TotalView-ITCH 3.0
  • Order-by-order tracking for the integrated NASDAQ system; Different Add Order message formats supported for attributed and unattributed order types
  • Trade messages for executions of non-displayable orders
  • Trade messages for NASDAQ Opening, Closing and IPO Crosses as well as NASDAQ Crossing Network executions
  • Net Order Imbalance data for NASDAQ Opening, Closing and IPO Crosses
TotalView-ITCH 2.0a
  • Order-by-order tracking for the integrated NASDAQ system; Market participant attribution is handled as an optional attachment to the Add Order messages
  • Trade messages for executions of non-displayable orders
TotalView-ITCH 1.0 and
TotalView-ITCH 2.0
  • Order-by-order tracking for the integrated NASDAQ system; No market participant attribution is supported in these legacy data formats
  • Trade messages for executions of non-displayable orders

In addition, NASDAQ will also support top-of-file market participant quotations from the integrated NASDAQ system via the NASDAQ Quotation Dissemination ServiceMSM (NQDSSM) data feed.

Data Feed Changes, effective October 30, 2006:
As outlined in NASDAQ Vendor Alert #2006-027, NASDAQ will retire the OrderViewSM data feed upon the completion of systems integration for NASDAQ-listed securities. NASDAQ will cease to support order and trade data for NASDAQ-listed securities on the Brut Order System Feed as of October 30th. Firms that process the OrderView and Brut feeds are advised to migrate to one of the TotalView data feed listed above for order depth data.

With the completion of systems integration, NASDAQ will start to source administrative and event messages for TotalView (Legacy) and NQDS data feeds from the new system. As outlined in NASDAQ Vendor Alert #2006-051, NASDAQ will be moving the start of day event messages for TotalView (Legacy) and NQDS to 7:00 a.m., Eastern Time (ET), in conjunction with the data sourcing change. NASDAQ will also make minor adjustments to the way that selected fields in administration messages are populated in the pre-open spins. Firms should refer to the data feed specification documents for complete details on the TotalView (Legacy) and NQDS changes.

Market data redistributors should display unattributed data from the integrated NASDAQ system under the market participant identifier “NSDQ” in NASDAQ-listed issues. With the completion of systems integration, NASDAQ is asking market data redistributors to drop the market participant identifiers “SIZE”, “BRUT” and “INET” from quotation displays for NASDAQ-listed issues.

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